I think there are three sources of seed to consider:

The cheapest is collected from your own plants (qv)
You can buy good quality seed from many suppliers, by mail order or from the garden centres (qv)
F1 seed is specially selected for a particular trait, such as yield or flavour or flower colour (qv)

Most of the plants you'll want to grow can be grown from seed. Some of the exceptions are fruit trees.

Your own seed

You can collect seeds from virtually all the plants in your garden, but not all of them will come true to type.
It's very worthwhile collecting broad bean seeds, or peas, toward the end of the season and sowing them next season. The quality tends not to fall off; they tend not to carry disease; and if you don't grow enough to keep for seed it's easy to buy some more. If you grow only one or a few varieties the seed will grow more or less true to type.
Alliums, too, yield seed that grows more or less true to type; leeks are especially worthwhile. Many of the root vegetables, especially carrots, are worth saving.
At the other extreme hard fruit (like apples and pears) and brambles (like blackberries and tayberries) never seed true to type. If you sow apple pips they will grow into apples, occasionally even edible apples, but not the same apples. Once in a very long while your apple pips may yield a new, superb variety of apple, but it's hardly worth the effort.
Virtually every bramble bush is different from all the others, but some are luscious, some are thornless, some are Tayberries, most are worthless.
In our garden birds eat fruit and seeds and drop them, in their own packet of manure, around the garden. The hawthorns seedlings are all the same and are useful as hedging. The cotoneaster seedlings are all different but most are interesting and useful as variegated hedging. I regard the elder seedlings as weeds and grub them out for burning.
The squirrels move plum seeds, nuts and walnuts around the garden: the resulting plums are usually edible, but always different.
For many years we have collected seeds from aquilegia and polemonium: they never come true, but the variety is enormous and occasionally we find a beauty. It's worthwhile collecting seed from virtually all of the flowering plants in your garden. Remember that it's illegal to collect seed from wild flowers.
Potatoes and artichokes are not true seeds: they are tubers. 'Seed' potatoes are worth collecting and using, but only for a year or two: you should then buy in fresh stock. Jerusalem artichokes will grow from 'seed' tubers forever: they'll be hard to eradicate.

Bought-in seed

It is important to identify good seed products from quality sources for your garden. It's becoming a contentious issue whether to purchase mass produced seed products or to source your seeds from smaller more specialised suppliers. There is also a growing network in co-operative seed traders around the world.
The trouble is, some of the mass produced seed products are genetically modified in some way. It could be to make a species more pest resistant or it could be to produce a hardier plant for a broader range of climates. But there is a growing backlash in the community towards this sort of manipulation.
The big seed suppliers have a large variety of vegetable seed types available. Don't write them off just because they're big: many are very sensitive to the concern over genetically modified foods and supply seed varieties that are original and unmodified. If it concerns you, ask. If not, go for it. The range of vegetable seeds available is extraordinary.
Those that make seed a core business generally provide good quality seed products. Otherwise, it would be counterproductive to stay in business.
Boutique seed suppliers generally specialise in Heritage vegetables. These are unmodified species that have often also become rare vegetables. They are suppliers that collect seed from outdoor gardens, not laboratories. I have sort of intimated that big cannot be boutique, and that boutique cannot be big. That's not true. There are some very big, boutique suppliers of seed products.
The other great thing about boutique suppliers is that the hunt for a particular type of vegetable can be fascinating. Serving a green tomato or a purple carrot could be just the thing for your next dinner party! Search them out on the internet under 'Heritage Vegetable Seeds' or 'Rare Vegetables'.
There is a thriving movement to protect the biodiversity of the earth. The projects go from small collections of individuals in a neighbourhood to co-ordinating bodies across continents. They are not entirely focussed on vegetables, but it's a good source of information for learning how to collect seeds. Some groups are more organised than others, so start at the top with this terrific collection of seed resources and work your way down to a group near you. If there isn't one, start one. Growing your own vegetables AND saving the planet? What a hero you'll be!

F1 seeds

Most seeds (whether your own, or a large suppliers, or community collected) are simply collected from plants which are known to produce seeds which come true to type.
F1 seeds are the product of a deliberate mating between specially selected parent strains: these parent strains are themselves selected to be true to type. F1 are, therefore, first generation hybrids especially bred for a particular trait.
F1 seeds are available for sweet peas. they may be selected for a particular colour or a particular scent. F1 carrots will all be identical and bred for taste or size.
F1 seeds are often very expensive and they are usually encapsulated to make them easy to handle. They may not be organic.
The seed collected from F1 hybrid plants never come true to type; often, they are quite inferior.